International Bank Portfolios: Short- and Long-Run Responses to the Business Cycle

Sven Blank () and Claudia Buch

No 29, IAW Discussion Papers from Institut für Angewandte Wirtschaftsforschung (IAW)

Abstract: International bank portfolios constitute a large component of international country portfolios. Yet, their response to macroeconomic conditions and their impact on the international transmission of business cycles developments remains largely unexplored. We use a novel dataset on banks’ international portfolios to answer three questions. First, what are the long-run determinants of banks’ international portfolios? Second, how do banks’ international portfolios adjust to short-run macroeconomic developments? Third, does the speed of adjustment change with the degree of financial integration? We provide evidence of significant long-run cointegration relationships between cross-border assets and liabilities of banks and key macroeconomic variables. Both, the long-run determinants of banks’ international portfolios as well as the short-run dynamics show a significant degree of heterogeneity across countries and, to some extent, over time. Gravitytype variables help explaining differences in the speed of adjustment to new equilibria.

Keywords: international bank portfolios; macroeconomic developments; transmission channels (search for similar items in EconPapers)
JEL-codes: F32 F34 F42 (search for similar items in EconPapers)
Pages: 56 pages
Date: 2007-03
New Economics Papers: this item is included in nep-ban, nep-bec, nep-cba, nep-mac and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.iaw.edu/RePEc/iaw/pdf/iaw_dp_29.pdf (application/pdf)

Related works:
Chapter: International bank portfolios: short- and long-run responses to the business cycle (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:iaw:iawdip:29

Access Statistics for this paper

More papers in IAW Discussion Papers from Institut für Angewandte Wirtschaftsforschung (IAW) Contact information at EDIRC.
Bibliographic data for series maintained by Rolf Kleimann ().